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Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case

Author

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  • İskenderoglu Ömer

    (Phd, Professor, Department of Business, Nigde Ömer Halisdemir University, 5100, Nigde, Turkey)

  • Akdag Saffet

    (Phd, Assistant Professor, Department of Banking and Finance, Tarsus University)

Abstract

This study aims to examine the potential causal relationship between the VIX and the indicator stock exchange index returns of G20 (9 developed and 10 developing) countries. Nineteen countries of the sample are G20 countries with available data. In this respect, the frequency domain Granger causality test of Breitung and Candelon (2006) is employed for the daily data between March 2011 and December 2017. The results obtained from the study indicate that there is no causal relationship between the VIX and the returns of the NASDAQ 100 index in developed countries. Similarly, no causal relationship is detected which runs from the VIX to the BIST100, BOVESPA, MERVAL, S&P/BMV IPC and TADAWUL stock index returns in developing countries. As a result, the causal relationship is more tend to be found in developed countries in comparison to developing countries.

Suggested Citation

  • İskenderoglu Ömer & Akdag Saffet, 2020. "Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case," South East European Journal of Economics and Business, Sciendo, vol. 15(1), pages 105-121, June.
    • Handle: RePEc:vrs:seejeb:v:15:y:2020:i:1:p:105-121:n:9
    DOI: 10.2478/jeb-2020-0009
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    More about this item

    Keywords

    Risk Appetite; Frequency Domain Causality; Stock Exchange Indexes;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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